Trend-Following Backtester · Guide · backtest 한국어
equity · US
CoreCivic, Inc. backtest
10 trend-following strategies were compared on the full daily history of CoreCivic, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -11.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.0%, drawdown -99.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -11.4%, Sharpe 0.39, 1% exposure.
CAGR reference leader: Supertrend — CAGR 7.3%, MDD -75.6%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 88.0%p (CAGR 1.5%, MDD -11.4%, exposure 1%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=37 |
1.5% | -11.4% | 0.39 | 0.13 | 1.5x | 2 | 1% |
| Supertrend period=14, mult=4.7 |
7.3% | -75.6% | 0.38 | 0.10 | 7.8x | 89 | 55% |
| 볼린저 밴드 돌파 n=43, k=3.3 |
4.6% | -36.3% | 0.35 | 0.13 | 3.7x | 39 | 12% |
| Donchian 채널 돌파 entryN=38, exitN=19 |
5.8% | -59.6% | 0.35 | 0.10 | 5.2x | 113 | 38% |
| EMA 크로스오버 fast=16, slow=112 |
5.5% | -57.4% | 0.34 | 0.10 | 4.8x | 85 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=17, mult=2.1 |
4.1% | -38.6% | 0.31 | 0.11 | 3.2x | 134 | 15% |
| ROC 모멘텀 n=14, threshold=0.17 |
4.0% | -67.6% | 0.31 | 0.06 | 3.1x | 148 | 5% |
| SMA 크로스오버 fast=10, slow=200 |
3.9% | -65.1% | 0.28 | 0.06 | 3.1x | 61 | 48% |
| MACD fast=17, slow=57, signal=17 |
-2.3% | -93.9% | 0.12 | -0.02 | 0.5x | 308 | 51% |
| Parabolic SAR step=0.035, maxStep=0.22 |
-8.0% | -96.5% | -0.09 | -0.08 | 0.1x | 848 | 50% |
| Buy and hold | -4.0% | -99.4% | 0.17 | -0.04 | 0.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)